Introduction Stressful life events have been seen to influence the onset and development of depressive symptoms in adolescents. These are originated by family, personal and economic situations altering the individuals' normal activities. Objective and method The objective of this study was to identify the relationship with and the effect of stressful life events on symptoms of depression in adolescent high-school students, as well as to determine if there are differences between males and females. 2 292 adolescents, aged 15 to 19 years, were included (54% females and 46% males). Both the CES-D-R revised version of the Center of Epidemiological Studies Depression Scale and the Sandín SV Life Events Questionnaire were used. Statistical Analysis. In order to assess the depressive symptoms and the life events degree of stress variables, we performed descriptive analyses, Student t-tests, Pearson correlations and stepwise multiple regression analyses. Results The results indicate that 15.6% of the adolescents had depressive symptoms (CES-D-R) and 80.4% had suffered some family stressful life event. There were statistically significant differences in the scores for the life events degree of stress when it was analyzed by sex, with a higher mean being found in females. A significant relationship was found between depressive symptoms and the degree of stress of life events related with the social area (r = 0.34; p<0.001). Additionally, the degree of stress of the life events dimensions was found to predict the presence of depressive symptoms in adolescents by 21%. Conclusions The degree of stress of life events is related with the presence of depressive symptoms in adolescents. Furthermore, the fact of being a female and having experienced any stressful life event is associated with a higher depressive symptoms score.